The rule in plain words

Non-performing exposures - accumulated impairment, accumulated negative changes in fair value due to credit risk must equal these seven added up:

Unlikely to pay that are not past due or past due <= 90 days
Past due > 90 days <= 180 days
Past due > 180 days <= 1 year
Past due > 1 years <= 2 years
Past due > 2 years <= 5 years
Past due > 5 years <= 7 years
Past due > 7 years

EBA checks it for ten rows, from commercial real estate (CRE) loans to small and medium-sized enterprises (0010) to loans with LTV ratio higher than 100% (0100). That makes ten checks. A failure names the one that failed.

How the Line4 Check report words itShow

The first of its checks, word for word as the report shows it when it fails. The others read the same, with their own column, row or sheet.

Loans collateralised by commercial immovable property, Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk = Loans collateralised by commercial immovable property, Unlikely to pay that are not past due or past due <= 90 days + Loans collateralised by commercial immovable property, Past due > 90 days <= 180 days + Loans collateralised by commercial immovable property, Past due > 180 days <= 1 year + Loans collateralised by commercial immovable property, Past due > 1 years <= 2 years + Loans collateralised by commercial immovable property, Past due > 2 years <= 5 years + Loans collateralised by commercial immovable property, Past due > 5 years <= 7 years + Loans collateralised by commercial immovable property, Past due > 7 years

What to do if your filing fails it

01Open the template below and find the cells the rule reads.
02Add up the parts in your file and compare the result with the total.
03If they differ, a part is missing, a value sits in the wrong cell, or the total is out of date.
04EBA allows a small rounding difference, worked out from the decimals each value is reported with.
05It runs only when your filing indicators mark F 18.02 as reported.
06This is a warning. It does not stop the filing on its own, but your authority may ask you to explain it.

The cells it reads

Commercial Real Estate (CRE) loans and additional information on loans secured by immovable property (I) (F 18.02.a)

Rows

0010Commercial real estate (CRE) loans to small and medium-sized enterprises
0020Commercial real estate (CRE) loans to non-financial corporations other than SMEs
0030Loans collateralised by commercial immovable property
0040Of which: Loans with LTV ratio higher than 60% and less than or equal to 80%
0050Of which: Loans with LTV ratio higher than 80% and less than or equal to 100%
0060Of which: Loans with LTV ratio higher than 100%
0070Loans collateralised by residential immovable property
0080Of which: Loans with LTV ratio higher than 60% and less than or equal to 80%
0090Of which: Loans with LTV ratio higher than 80% and less than or equal to 100%
0100Of which: Loans with LTV ratio higher than 100%

Columns

0220Non-performing exposures - Accumulated impairment, accumulated negative changes in fair value due to credit risk
0230Unlikely to pay that are not past due or past due <= 90 days
0240Past due > 90 days <= 180 days
0250Past due > 180 days <= 1 year
0260Past due > 1 years <= 2 years
0270Past due > 2 years <= 5 years
0280Past due > 5 years <= 7 years
0290Past due > 7 years

A worked example

The first of its checks, with simple numbers.

Illustrative values

Unlikely to pay that are not past due or past due <= 90 days1,200

Past due > 90 days <= 180 days800

Past due > 180 days <= 1 year450

Past due > 1 years <= 2 years300

Past due > 2 years <= 5 years150

Past due > 5 years <= 7 years100

Past due > 7 years60

Together3,060

What the rule then expects

Non-performing exposures - accumulated impairment, accumulated negative changes in fair value due to credit risk must then be 3,060.

3,060Passes

3,160Fails

A file that reports 3,060 passes. One that reports 3,160 fails, by 100.

The numbers are illustrative, reported to the unit, so the rounding tolerance does not change the result.

Show the rule as writtenShow

EBA's formula, as written out for the first of its checks. Cells are written as {template, row, column, sheet}.

{F_18.02.a,r0030,c0220,} = {F_18.02.a,r0030,c0230,} + {F_18.02.a,r0030,c0240,} + {F_18.02.a,r0030,c0250,} + {F_18.02.a,r0030,c0260,} + {F_18.02.a,r0030,c0270,} + {F_18.02.a,r0030,c0280,} + {F_18.02.a,r0030,c0290,}

The next five:

{F_18.02.a,r0080,c0220,} = {F_18.02.a,r0080,c0230,} + {F_18.02.a,r0080,c0240,} + {F_18.02.a,r0080,c0250,} + {F_18.02.a,r0080,c0260,} + {F_18.02.a,r0080,c0270,} + {F_18.02.a,r0080,c0280,} + {F_18.02.a,r0080,c0290,}

{F_18.02.a,r0050,c0220,} = {F_18.02.a,r0050,c0230,} + {F_18.02.a,r0050,c0240,} + {F_18.02.a,r0050,c0250,} + {F_18.02.a,r0050,c0260,} + {F_18.02.a,r0050,c0270,} + {F_18.02.a,r0050,c0280,} + {F_18.02.a,r0050,c0290,}

{F_18.02.a,r0090,c0220,} = {F_18.02.a,r0090,c0230,} + {F_18.02.a,r0090,c0240,} + {F_18.02.a,r0090,c0250,} + {F_18.02.a,r0090,c0260,} + {F_18.02.a,r0090,c0270,} + {F_18.02.a,r0090,c0280,} + {F_18.02.a,r0090,c0290,}

{F_18.02.a,r0010,c0220,} = {F_18.02.a,r0010,c0230,} + {F_18.02.a,r0010,c0240,} + {F_18.02.a,r0010,c0250,} + {F_18.02.a,r0010,c0260,} + {F_18.02.a,r0010,c0270,} + {F_18.02.a,r0010,c0280,} + {F_18.02.a,r0010,c0290,}

{F_18.02.a,r0100,c0220,} = {F_18.02.a,r0100,c0230,} + {F_18.02.a,r0100,c0240,} + {F_18.02.a,r0100,c0250,} + {F_18.02.a,r0100,c0260,} + {F_18.02.a,r0100,c0270,} + {F_18.02.a,r0100,c0280,} + {F_18.02.a,r0100,c0290,}

And 4 more, the same formula for the other cells it covers.

Every FINREP 9 rule, by template

Checks like this one, run at the point of submission, are the first step to real-time supervision.

Non-performing exposures, accumulated impairment, accumulated negative changes in fair value due to credit risk must equal the sum of its seven parts (EBA rule v7882_m)

The rule in plain words

What to do if your filing fails it

The cells it reads

A worked example

Other rules on F 18.02.a